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tbilldisc2yield

Convert Treasury bill discount to equivalent yield

Syntax

[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)

Arguments

Discount

Discount rate of Treasury bills in decimal. The discount rate basis is actual/360.

Settle

Settlement date. Settle must be earlier than Maturity.

Maturity

Maturity date.

Inputs must either be a scalar or a vector of size equal to the number of Treasury bills (NTBILLS) by 1 or 1-by-NTBILLS.

Description

[BEYield MMYield] = tbilldisc2yield(Yield, Settle, Maturity) converts the discount rate on Treasury bills into their respective money-market or bond-equivalent yields.

BEYield is an NTBILLS-by-1 vector of bond-equivalent yields. The bond-equivalent yield basis is actual/365.

MMYield is an NTBILLS-by-1 vector of money-market yields. The money-market yield basis is actual/360.

Examples

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Convert the Discount Rate on Treasury Bills

This example shows how to to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.

Discount = 0.0497;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
BEYield =

    0.0517


MMYield =

    0.0510

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, Volume 1, 3rd edition, pp. 44 - 45 (on Treasury bills), and Money Market and Bond Calculation by Stigum and Robinson.

See Also

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